Related papers: A superprocess involving both branching and coales…
We use the system-plus-reservoir approach to study the dynamics of a system composed of two independent Brownian particles. We present an extension of the well-known model of a bath of oscillators which is capable of inducing an effective…
The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We focus our attention on the distributions of univariate Brownian…
In this paper we study the integral of the supremum process of standard Brownian motion. We present an explicit formula for the moments of the integral (or area) A(T), covered by the process in the time interval [0,T]. The Laplace transform…
We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
A super-Brownian motion in two and three dimensions is constructed where "particles" give birth at a higher rate, if they approach the origin. Via a log-Laplace approach, the construction is based on Albeverio et al. (1995) who calculated…
Let $\{u(t\,, x)\}_{(t, x)\in \mathbb{R}_+\times \mathbb{R}}$ be the density of one-dimensional super-Brownian motion starting from Lebesgue measure. Using the Laplace functional of super-Brownian motion, we prove that as $N\to \infty$, the…
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with multidimensional Brownian motion consider the different…
This paper gives a derivation for the large time asymptotics of the $n$-point density function of a system of coalescing Brownian motions on $\bf{R}$.
An analog of the Trotter formula for the Arratia flow is presented. Perturbations of the Brownian web by mappings associated with an ordinary differential equation with a smooth right part are considered and proved to be convergent…
Area fluctuations of a Brownian excursion are described by the Airy distribution, which found applications in different areas of physics, mathematics and computer science. Here we generalize this distribution to describe the area…
We investigate distributions of hyperbolic Bessel processes. We find links between the hyperbolic cosine of hyperbolic Bessel processes and functionals of geometric Brownian motion. We present an explicit formula for the Laplace transform…
We study the Brownian motion of an assembly of mobile inclusions embedded in a fluid membrane. The motion includes the dispersal of the assembly, accompanied by the diffusion of its center of mass. Usually, the former process is much faster…
We consider two particles performing continuous-time nearest neighbor random walk on $\mathbb Z$ and interacting with each other when they are at neighboring positions. Typical examples are two particles in the partial exclusion process or…
In this paper a martingale problem for super-Brownian motion with interactive branching is derived. The uniqueness of the solution to the martingale problem is obtained by using the pathwise uniqueness of the solution to a corresponding…
The paper discusses and surveys some aspects of the potential theory of subordinate Brownian motion under the assumption that the Laplace exponent of the corresponding subordinator is comparable to a regularly varying function at infinity.…
We study the asymptotic behaviour of the extremal process of a cascading family of branching Brownian motions. This is a particle system on the real line such that each particle has a type in addition to his position. Particles of type $1$…
We explore the connections between Green's functions for certain differential equations, covariance functions for Gaussian processes, and the smoothing splines problem. Conventionally, the smoothing spline problem is considered in a setting…
Consider all the possible ways of coupling together two Brownian motions with the same starting position but with different drifts onto the same probability space. It is known that there exist couplings which make these processes agree for…